2025 (scheduled)
“What Drives Trading in Financial Markets? A Big Data Perspective”
Shikun Ke and Anton Lines
AFA Annual Meeting, San Francisco, scheduled in Jan 2025
2024:
“Large Language Models and Return Prediction in China”
by Lin Tan, Huihang Wu, and Xiaoyan Zhang
ABFER webinar, scheduled in Nov 2024
“Asset Embeddings”
by Xavier Gabaix, Ralph S.J. Koijen, Robert J. Richmond, Motohiro Yogo
ABFR webinar, Sep 2024
“Crash Narratives”
William Goetzmann, Dasol Kim, and Robert Shiller
SFS Cavalcade NA, Atlanta, May 2024
2023:
“Peer-Reviewed Theory Does Not Help Predict the Cross-Section of Stock Returns”
Andrew Y. Chen, Alejandro Lopez-Lira, and Tom Zimmermann
FutFinInfo, Paris, May 2023
“Anomalies in the Age of Machine”
Fuwei Jiang, Lingchao Meng, Yiming Wang, and Guofu Zhou
Econometric Society Asia Meeting, online, Jun 2023
[slides]
“Dynamic Competition and Expected Returns”
Ilona Babenko, Oliver Boguth, and Yuri Tserlukevich
AFA Annual Meeting, New Orleans, Jan 2023
2022:
“Do Banks Overreact to Disaster Risk?”
Qianqian Huang, Feng Jiang, Yuhai Xuan, Tao Yuan
CICF, online, Jun 2022
Peer Momentum
by Efdal Ulas Misirli, Daniela Scida, and Mihail Velikov, DC-Area Junior Conference
Economic Narratives and Market Outcomes: A Semi-supervised Topic Modeling Approach
by Dat Mai and Kuntara Pukthuanthong, MFA Annual Meeting
The Temporal Structure of Risk and the Cross-Section of Equity Returns
by Shane Miller, AFA Annual Meeting
2021:
Skewness and time-varying second moments in a nonlinear production network: theory and evidence
by Ian Dew-Becker, Alireza Tahbaz-Salehi, and Andrea Vedolin, Shanghai Financial Forefront Symposium
A Structural Model of Interbank Network Formation and Contagion
by Patrick Coen and Jamie Coen, SaMMF OTC Markets Workshop
2020:
Non-Market Factors and the CAPM: the Market Index Effect
by Michael F. Ferguson, Babak Lotfaliei, and Timothy E. Trombley, FMA Virtual Conference
One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns
by Nishad Kapadia, Matthew Linn, and Bradley S. Paye, EFA Annual Meeting
Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
by Alejandro Lopez-Lira, SFS Cavalcade NA 2020
2019:
A Toolkit for Factor-Mimicking Portfolios
by Kuntara Pukthuanthong, Richard Roll, Junbo Wang, Tengfei Zhang, CICF 2019
q^5
by Kewei Hou, Haitao Mo, Chen Xue, and Lu Zhang, Carey Finance Conference
Factors that Fit the Time Series and Cross-Section of Stock Returns
by Martin Lettau, Markus Pelger, SFS Cavalcade NA 2019